相关论文: Achieving Parsimony in Bayesian VARs with the Hors…

This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic…

This article introduces two absolutely continuous global-local shrinkage priors to enable stochastic variable selection in the context of high-dimensional matrix exponential spatial specifications. Existing approaches as a means to dealing…

Penalized regression methods, such as $L_1$ regularization, are routinely used in high-dimensional applications, and there is a rich literature on optimality properties under sparsity assumptions. In the Bayesian paradigm, sparsity is…

The horseshoe prior, a widely used handy alternative to the spike-and-slab prior, has proven to be an exceptional default global-local shrinkage prior in Bayesian inference and machine learning. However, designing tests with frequentist…

Factor models are widely used for dimension reduction. Bayesian approaches to these models often place a prior on the factor loadings that allows for infinitely many factors, with loadings increasingly shrunk toward zero as the column index…

Suppose we have data generated according to a multivariate normal distribution with a fixed unknown mean vector that is sparse in the sense of being nearly black. Optimality of Bayes estimates and posterior concentration properties in terms…

We consider the problem of model selection when grouping structure is inherent within the regressors. Using a Bayesian approach, we model the mean vector by a one-group global-local shrinkage prior belonging to a broad class of such priors…

Bayesian predictive inference provides a coherent description of entire predictive uncertainty through predictive distributions. We examine several widely used sparsity priors from the predictive (as opposed to estimation) inference…

Sparseness of the regression coefficient vector is often a desirable property, since, among other benefits, sparseness improves interpretability. In practice, many true regression coefficients might be negligibly small, but non-zero, which…

We develop a Bayesian methodology aimed at simultaneously estimating low-rank and row-sparse matrices in a high-dimensional multiple-response linear regression model. We consider a carefully devised shrinkage prior on the matrix of…

Many existing shrinkage approaches for time-varying parameter (TVP) models assume constant innovation variances across time points, inducing sparsity by shrinking these variances toward zero. However, this assumption falls short when states…

Bayesian inversion is central to the quantification of uncertainty within problems arising from numerous applications in science and engineering. To formulate the approach, four ingredients are required: a forward model mapping the unknown…

We develop singular value shrinkage priors for the mean matrix parameters in the matrix-variate normal model with known covariance matrices. Our priors are superharmonic and put more weight on matrices with smaller singular values. They are…

We consider Bayesian tensor vector autoregressions (TVARs) in which the VAR coefficients are arranged as a three-dimensional array or tensor, and this coefficient tensor is parameterized using a low-rank CP decomposition. We develop a…

Shrinkage prior are becoming more and more popular in Bayesian modeling for high dimensional sparse problems due to its computational efficiency. Recent works show that a polynomially decaying prior leads to satisfactory posterior…

As an alternative to variable selection or shrinkage in high dimensional regression, we propose to randomly compress the predictors prior to analysis. This dramatically reduces storage and computational bottlenecks, performing well when the…

In data sets with many predictors, algorithms for identifying a good subset of predictors are often used. Most such algorithms do not account for any relationships between predictors. For example, stepwise regression might select a model…

High-dimensional spatially correlated covariates are common in regression models encountered in environmental sciences and other fields. In such models, the regression coefficients often exhibit a sparse structure with spatial dependence.…

In the context of a high-dimensional linear regression model, we propose the use of an empirical correlation-adaptive prior that makes use of information in the observed predictor variable matrix to adaptively address high collinearity,…

The first Bayesian results for the sparse normal means problem were proven for spike-and-slab priors. However, these priors are less convenient from a computational point of view. In the meanwhile, a large number of continuous shrinkage…